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Stock volatility and margin trading
16 references·7 citing·42 second hop
Stock volatility and margin trading (1990)Stock volatility and margin tradingMargin Regulation and Stock Market Volatility (1990)Margin Regulation and Stock M…Alternative models for conditional stock volatility (1990)Alternative models for condit…The Price Effect of Option Introduction (1989)The Price Effect of Option In…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Margin requirements, volatility, and the transitory component of stock prices (1988)Margin requirements, volatili…Liquidity and Asset Prices: Financial Management Implications (1988)Liquidity and Asset Prices: F…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …The Economic Consequences of Noise Traders (1987)The Economic Consequences of …Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research (1987)Cross-Sectional Dependence an…Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Crises in the economic and financial structure (1983)Crises in the economic and fi…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…Essays in Positive Economics (1954)Essays in Positive EconomicsMedia-based investor sentiment and stock returns: a textual analysis based on newspapers (2021)Media-based investor sentimen…The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market (2019)The impact of short-selling a…Short selling, margin trading, and the incorporation of new information into prices (2016)Short selling, margin trading…Against the tide: the commencement of short selling and margin trading in mainland China (2013)Against the tide: the commenc…Margin lending and stock market volatility (2001)Margin lending and stock mark…Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Margin Requirements, Volatili…The Irrelevance of Margin: Evidence from the Crash of '87 (1993)The Irrelevance of Margin: Ev…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Special Information and Insider Trading (1974)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Abnormal returns to a fundamental analysis strategy. (1998)Managerial Decisions and Long-Term Stock Price Performance (1998)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)A Competency-Based Model of Sustainable Competitive Advantage: Toward a Conceptual Integration (1992)The Resource-Advantage Theory of Competition: Dynamics, Path Dependencies, and Evolutionary Dimensions (1996)Drivers of Environmental Behaviour in Manufacturing SMEs and the Implications for CSR (2006)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1986Stock return variances1,813 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1954Essays in Positive Economics1,215 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1987Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research548 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1988Liquidity and Asset Prices: Financial Management Implications354 cited
  • 1989The Price Effect of Option Introduction352 cited
  • 1983Crises in the economic and financial structure262 cited
  • 1990Margin Regulation and Stock Market Volatility209 cited
  • 1987The Economic Consequences of Noise Traders109 cited
  • 1988Margin requirements, volatility, and the transitory component of stock prices

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85 cited

Cited by

  • 2013Against the tide: the commencement of short selling and margin trading in mainland China63 cited
  • 2016Short selling, margin trading, and the incorporation of new information into prices51 cited
  • 1993The Irrelevance of Margin: Evidence from the Crash of '8749 cited
  • 2001Margin lending and stock market volatility38 cited
  • 1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?37 cited
  • 2021Media-based investor sentiment and stock returns: a textual analysis based on newspapers31 cited
  • 2019The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market29 cited